Asymptotically optimal estimator of the parameter of semi-linear autoregression
The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if...
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| Datum: | 2007 |
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| Format: | Artikel |
| Sprache: | English |
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Інститут математики НАН України
2007
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| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/4475 |
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| Zitieren: | Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ. |
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Ivanenko, D. 2009-11-19T10:08:35Z 2009-11-19T10:08:35Z 2007 Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ. 0321-3900 https://nasplib.isofts.kiev.ua/handle/123456789/4475 The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if time is continuous) on some random Lipschitz functions is constructed. Asymptotic optimality of this estimators is investigated. en Інститут математики НАН України Asymptotically optimal estimator of the parameter of semi-linear autoregression Article published earlier |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| title |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| spellingShingle |
Asymptotically optimal estimator of the parameter of semi-linear autoregression Ivanenko, D. |
| title_short |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_full |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_fullStr |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_full_unstemmed |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_sort |
asymptotically optimal estimator of the parameter of semi-linear autoregression |
| author |
Ivanenko, D. |
| author_facet |
Ivanenko, D. |
| publishDate |
2007 |
| language |
English |
| publisher |
Інститут математики НАН України |
| format |
Article |
| description |
The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if time is continuous) on some random Lipschitz functions is constructed. Asymptotic optimality of this estimators is investigated.
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| issn |
0321-3900 |
| url |
https://nasplib.isofts.kiev.ua/handle/123456789/4475 |
| citation_txt |
Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ. |
| work_keys_str_mv |
AT ivanenkod asymptoticallyoptimalestimatoroftheparameterofsemilinearautoregression |
| first_indexed |
2025-11-30T15:06:32Z |
| last_indexed |
2025-11-30T15:06:32Z |
| _version_ |
1850857953895120896 |